Hi , During expiry when spot price of banknifty is 27000 , 27000PE is 45 but 27000CE is 55 , What does this mean , Can we hedge with this ? both have 0 time value.
If I sell both of this until what range of banknifty i will be in profit. ?
Range of 100 points with +30(stt)
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30 points of STT ?
Banknifty contract value = 27000 x 20 = approx 5.5lks
STT on exercise = 0.125% of 5.5lks = Rs 680 = around 30 points of Banknifty.
Yep, all ITM and ATM options will be factoring in this STT cost close to expiry. So typically they will all be at a discount unless the volatility is quite a bit.
But this STT is applicable only to the buyer of an option, not to the seller. But the seller is kind of forced to sell it at a discount in the market so he gets affected indirectly as well.
If you sell 27000 PE and CE at 45 and 55, you collect 100 points premium. So you’d be profitable within 100 point range - 26900 and 27100 on expiry.
You should check out the option strategies section on @Sensibull
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